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Functional gradient descent for financial time series with an application to the measurement of market risk


  • Audrino, Francesco
  • Barone-Adesi, Giovanni


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  • Audrino, Francesco & Barone-Adesi, Giovanni, 2005. "Functional gradient descent for financial time series with an application to the measurement of market risk," Journal of Banking & Finance, Elsevier, vol. 29(4), pages 959-977, April.
  • Handle: RePEc:eee:jbfina:v:29:y:2005:i:4:p:959-977

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    References listed on IDEAS

    1. Robert F. Engle & Kevin Sheppard, 2001. "Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH," NBER Working Papers 8554, National Bureau of Economic Research, Inc.
    2. Chib, Siddhartha & Nardari, Federico & Shephard, Neil, 2006. "Analysis of high dimensional multivariate stochastic volatility models," Journal of Econometrics, Elsevier, vol. 134(2), pages 341-371, October.
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    Cited by:

    1. Klaus Wohlrabe & Teresa Buchen, 2014. "Assessing the Macroeconomic Forecasting Performance of Boosting: Evidence for the United States, the Euro Area and Germany," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 33(4), pages 231-242, July.
    2. repec:spr:comgts:v:14:y:2017:i:3:d:10.1007_s10287-017-0280-y is not listed on IDEAS
    3. Fengler, Matthias R. & Okhrin, Ostap, 2016. "Managing risk with a realized copula parameter," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 131-152.
    4. Audrino, Francesco, 2014. "Forecasting correlations during the late-2000s financial crisis: The short-run component, the long-run component, and structural breaks," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 43-60.
    5. Fresoli, Diego E. & Ruiz, Esther, 2016. "The uncertainty of conditional returns, volatilities and correlations in DCC models," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 170-185.
    6. repec:eee:empfin:v:42:y:2017:i:c:p:175-198 is not listed on IDEAS
    7. Fabio Trojani, 2007. "Accurate Short-Term Yield Curve Forecasting using Functional Gradient Descent," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 5(4), pages 591-623, Fall.

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